在Longstaff和Schwartz(LS,2001)提出的基于多项式函数逼近的美式期权仿真定价基础上,给出美式期权重要性抽样仿真方法--顺推法及其具体算法,同时给出重要性与分层抽样相结合的算法.该方法可以适用于类似于美式期权具有可提前执行特征以及路径依赖特征等金融衍生工具仿真定价,具有一般性.数字示例比较结果表明,相对于LS方法,重要性抽样和分层重要性抽样都具有较好的方差缩减效果,尤其分层重要性抽样方法.中文核心期刊要目总览(PKU)中国科学引文数据库(CSCD)0102929-2931,29351
This paper implements and compares eight American option valuation methods: binomial, trinomial, exp...
An American option is a type of option that can be exercised at any time up to its expiration. Ameri...
Barrier options are options that are either extinguished (“out”) or established (“in”), when the pri...
亚洲期权是场外交易中几种最受欢迎的新型期权之一,但它的价格却没有解析表达式.到目前为止,亚洲期权的定价仍是个公开问题.本文采用拟蒙特卡罗法中的Hahon序列来估计它的价格,数值结果表明当观察点的个数N...
本篇論文主旨在於評估類蒙地卡羅法。傳統蒙地卡羅法已經被證明是估計封閉解不存在的資產價格的一件有價值的工具；而類蒙特卡羅法保留了傳統蒙地卡羅法的彈性，更增加了模擬速度快與收斂速度快的特性。 本篇論文比較...
[[abstract]]本篇論文修改Longstaff 和 Schwartz (2001) 所發展之最小平方蒙地卡羅法 ( Least-Square Monte Carlo approach)，增進估...
本論文使用Longstaff, F.和 E. Schwartz在2001年所發展出來的Least- Square Monte-Carlo simulation approach 來估計美式利率交換選擇...
歐式信用違約交換選擇權通常都以短天期較富流動信，造成這樣情形的原因很可能是因為長天期的信用違約交換選擇權必須承擔標的公司的倒閉風險。美式信用違約交換選擇權讓持有者可以在選擇權到期以前履約，這使得持有者...
本篇論文延伸前向蒙地卡羅法 (Forward Monte Carlo Method) 來評價兩資產美式彩虹選擇權。先前已有學者成功發展出評價單資產美式選擇權的前向蒙地卡羅法，並大幅改善了評價效率。這個...
One looks at the pricing of American options using Monte Carlo simulations. The selected theories on...
As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options ...
European-style options are quite popular nowadays. Calculating their theo- retical price is not an e...
This thesis reviewed a number of Monte Carlo based methods for pricing American options. The least-s...
Based on polynomial function-based pricing method of Longstaff and Schwartz (LS, 2001), one importan...
Giles has provided in the duration of the dissertation. One looks at the pricing of American options...
This paper implements and compares eight American option valuation methods: binomial, trinomial, exp...
An American option is a type of option that can be exercised at any time up to its expiration. Ameri...
Barrier options are options that are either extinguished (“out”) or established (“in”), when the pri...
亚洲期权是场外交易中几种最受欢迎的新型期权之一,但它的价格却没有解析表达式.到目前为止,亚洲期权的定价仍是个公开问题.本文采用拟蒙特卡罗法中的Hahon序列来估计它的价格,数值结果表明当观察点的个数N...
本篇論文主旨在於評估類蒙地卡羅法。傳統蒙地卡羅法已經被證明是估計封閉解不存在的資產價格的一件有價值的工具；而類蒙特卡羅法保留了傳統蒙地卡羅法的彈性，更增加了模擬速度快與收斂速度快的特性。 本篇論文比較...
[[abstract]]本篇論文修改Longstaff 和 Schwartz (2001) 所發展之最小平方蒙地卡羅法 ( Least-Square Monte Carlo approach)，增進估...
本論文使用Longstaff, F.和 E. Schwartz在2001年所發展出來的Least- Square Monte-Carlo simulation approach 來估計美式利率交換選擇...
歐式信用違約交換選擇權通常都以短天期較富流動信，造成這樣情形的原因很可能是因為長天期的信用違約交換選擇權必須承擔標的公司的倒閉風險。美式信用違約交換選擇權讓持有者可以在選擇權到期以前履約，這使得持有者...
本篇論文延伸前向蒙地卡羅法 (Forward Monte Carlo Method) 來評價兩資產美式彩虹選擇權。先前已有學者成功發展出評價單資產美式選擇權的前向蒙地卡羅法，並大幅改善了評價效率。這個...
One looks at the pricing of American options using Monte Carlo simulations. The selected theories on...
As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options ...
European-style options are quite popular nowadays. Calculating their theo- retical price is not an e...
This thesis reviewed a number of Monte Carlo based methods for pricing American options. The least-s...
Based on polynomial function-based pricing method of Longstaff and Schwartz (LS, 2001), one importan...
Giles has provided in the duration of the dissertation. One looks at the pricing of American options...
This paper implements and compares eight American option valuation methods: binomial, trinomial, exp...
An American option is a type of option that can be exercised at any time up to its expiration. Ameri...
Barrier options are options that are either extinguished (“out”) or established (“in”), when the pri...
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